Publication Type
Working Paper
Version
publishedVersion
Publication Date
7-2018
Abstract
We propose tests for homoskedasticity in spatial econometric models, based on joint or concentrated score functions and an Outer-Product-of-Martingale-Difference (OPMD) estimate of the variance of the joint or concentrated score functions. Versions of these tests robust against non-normality are also given. Asymptotic properties of the proposed tests are formally examined using a cross-section model and a panel model with fixed effects. Monte Carlo results show that the proposed tests based on the concentrated score function have good finite sample properties. Finally, the generality of the proposed approach in constructing tests for homoskedasticity is further demonstrated using a spatial dynamic panel data model with short panels.
Keywords
Adjusted quasi-scores, Dynamics, Fixed effects, Heteroskedasticity, Non-normality, Martingale difference, Score tests, Short panels, Spatial effects
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
47
Publisher
SMU Economics and Statistics Working Paper Series, No. 12-2018
City or Country
Singapore
Citation
BALTAGI, Badi H.; PIROTTE, Alain; and YANG, Zhenlin.
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models. (2018). 1-47.
Available at: https://ink.library.smu.edu.sg/soe_research/2179
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.